MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES

DOI10.1142/S0219024922500157zbMath1502.60071arXiv2107.04087OpenAlexW3181304782MaRDI QIDQ5088806

Barbara Torti, Antonella Calzolari

Publication date: 13 July 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.04087

zbMATH Keywords

marked point processesenlargement of filtrationrandom measuressemi-martingalespredictable representations property

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

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Cites Work

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